Enhancing Least Squares Monte Carlo with diffusion bridges: an application to energy facilities

DOI10.1080/14697688.2014.941913zbMath1398.91673OpenAlexW1998591187MaRDI QIDQ4683094

Piergiacomo Sabino, Tommaso Pellegrino

Publication date: 19 September 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2014.941913

zbMATH Keywords

stochastic optimizationenergy derivativesMarkov bridgescomputational financeleast squares Monte Carlo

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Optimal stochastic control (93E20) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (8)

Normal Tempered Stable Processes and the Pricing of Energy Derivatives ⋮ A Bivariate Normal Inverse Gaussian Process with Stochastic Delay: Efficient Simulations and Applications to Energy Markets ⋮ Gamma-related Ornstein–Uhlenbeck processes and their simulation* ⋮ Forward or backward simulation? A comparative study ⋮ Exact Simulation of Variance Gamma-Related OU Processes: Application to the Pricing of Energy Derivatives ⋮ Fast Pricing of Energy Derivatives with Mean-Reverting Jump-diffusion Processes ⋮ Correlating Lévy processes with self-decomposability: applications to energy markets ⋮ Fast simulation of tempered stable Ornstein-Uhlenbeck processes

Cites Work

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• Simulating bessel random variables
• On the discretization schemes for the CIR (and Bessel squared) processes
• Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
• A decomposition of Bessel Bridges
• On the Bessel distribution and related problems
• A generalized class of Lyons-Zheng processes

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